Researchers publish study on settlement design for crypto stock perpetual contracts
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Researchers including Donghwa Seo have published a research paper on settlement design for crypto stock perpetual contracts, accepted by MARBLE 2026. The paper notes that stock-like perpetual contracts launched by crypto exchanges calculate funding rates based on real-time basis, and cannot replicate shareholder dividend cash flows for traders entering or exiting at any time. The authors derive a fair funding rate identity, converting point-in-time fairness into an optimal stopping condition, and prove from a measure-theoretic perspective that predictable dividends are atomic events. Absolutely continuous funding rate paths cannot replicate this atom within a holding interval, and must be matched with discrete event credits.
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- arXiv q-finarXiv Paper: Basis-Only Funding Rates Cannot Achieve Dividend Fairness — Settlement Design for Crypto-Equity Perpetuals
This 16-page paper, accepted by MARBLE 2026, argues that crypto-exchange stock-like perpetual contracts calculate funding rates from the real-time basis and cannot replicate shareholder dividend cash flows for traders entering or exiting at arbitrary times. The authors derive a fair funding-rate identity, convert point-in-time fairness into an optimal stopping condition, and use measure theory to show that predictable dividends are atomic events. Absolutely continuous funding-rate paths cannot replicate this atom over a holding interval and must be matched with discrete event credits.
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